Jennings told reporters before their game against the Golden State Warriors that Milwaukee's history against the Heat makes him confident (Via The Milwaukee-Wisconsin Journal Sentinel):

The two games that we played Miami so far, we matched up well against them. If you ask me, that's who I would want to play first round, Miami.

Just the fact over the years, a lot of the games have gone down to the wire with us and Miami. Right now we haven't really played well against the Knicks. I just feel better if we play Miami first round, just the fact we have good games against them.

I don't know if it's because they're the champs or what, but we always play harder against Miami.

Jennings might as well be saying, "Sure, we're fine with losing in the first round of the playoffs."

The Bucks do have a 1-1 record against the Heat this season, along with a combined 4-5 record against the Heat since LeBron James and Chris Bosh made their trip south, which isn't terrible

However, the Bucks haven't played the Heat in the playoffs, and that's a completely different monster.

Even if deep down Jennings does want to face the Heat in the first round, that's not something he should go around spouting about. You don't poke the bear.